Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1816 |
| Annualized Std Dev | 0.7284 |
| Annualized Sharpe (Rf=0%) | 0.2494 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3112.0000 |
| NAs | 1.0000 |
| Minimum | -0.3712 |
| Quartile 1 | -0.0184 |
| Median | 0.0032 |
| Arithmetic Mean | 0.0017 |
| Geometric Mean | 0.0007 |
| Quartile 3 | 0.0242 |
| Maximum | 0.2658 |
| SE Mean | 0.0008 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0034 |
| Variance | 0.0021 |
| Stdev | 0.0459 |
| Skewness | -0.5160 |
| Kurtosis | 7.6101 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0336 |
| Gain Deviation | 0.0313 |
| Loss Deviation | 0.0363 |
| Downside Deviation (MAR=210%) | 0.0369 |
| Downside Deviation (Rf=0%) | 0.0328 |
| Downside Deviation (0%) | 0.0328 |
| Maximum Drawdown | 0.8819 |
| Historical VaR (95%) | -0.0684 |
| Historical ES (95%) | -0.1107 |
| Modified VaR (95%) | -0.0732 |
| Modified ES (95%) | -0.1482 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2018-09-04 | 2020-03-23 | 2021-02-08 | -0.8819 | 612 | 390 | 222 |
| 2008-11-06 | 2009-03-09 | 2010-03-05 | -0.7924 | 333 | 83 | 250 |
| 2011-05-02 | 2011-10-03 | 2013-05-10 | -0.7056 | 510 | 108 | 402 |
| 2015-06-24 | 2016-02-11 | 2016-11-25 | -0.6264 | 361 | 161 | 200 |
| 2010-04-26 | 2010-08-24 | 2010-12-17 | -0.5347 | 166 | 85 | 81 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -35.1 | 7.5 | -30.3 |
| 2009 | -6.1 | -3.5 | 5.8 | 1.4 | 11.6 | 5 | -0.9 | -6.8 | -9.1 | -8.4 | 4.6 | -4.1 | -12.2 |
| 2010 | 3.7 | 6.9 | 2.5 | -8.8 | -9.1 | -2.2 | 0.4 | 11 | 1.7 | -1.9 | 6.5 | -2.2 | 6.7 |
| 2011 | 6.8 | -5.9 | 1.2 | 1.1 | -9.4 | 4.5 | -1.7 | -6.4 | -9.1 | -10 | -2.2 | -1.6 | -29.5 |
| 2012 | 6.5 | 1.5 | -0.9 | 0.3 | -8.9 | 8.8 | -5 | 1.2 | 1 | 3.7 | -0.7 | 6.3 | 13.3 |
| 2013 | 2.8 | 1.4 | -3.6 | -7.3 | -3.1 | 4.8 | 3.9 | -4.5 | 3.5 | -1.4 | 0 | 0.8 | -3.6 |
| 2014 | -2 | -1.4 | 4.1 | -0.3 | -1.3 | 3.1 | -1.1 | 1.6 | -4.2 | 4.4 | -4.9 | -1.8 | -4.2 |
| 2015 | -6.4 | -1.6 | -0.1 | 1.7 | 1 | 0.9 | 1.5 | -8 | -0.5 | -1.2 | 1.9 | -3.8 | -14.3 |
| 2016 | -1.3 | 6.5 | 1.3 | -2.8 | 2 | 1.1 | 0.2 | 0.1 | 3.2 | -3.6 | -1.6 | -1.1 | 3.7 |
| 2017 | 0 | 5.5 | 0.6 | 1.6 | 5.7 | -0.5 | 0.6 | 1.6 | 0.6 | -1.9 | -1.2 | -2.5 | 10 |
| 2018 | 0.8 | -0.9 | 3 | 1.4 | 2.3 | -0.4 | -0.3 | 1.1 | -4.2 | 6.4 | 1.4 | 2.2 | 13.1 |
| 2019 | 0.4 | 2.8 | 3.2 | -2.8 | -4.1 | 1 | -4.4 | -0.5 | -5.9 | 5.1 | -2 | 0.4 | -7.1 |
| 2020 | -6.1 | -4 | -20.1 | -11.9 | 3.2 | -2.8 | -2.9 | 3.6 | 4.5 | -3.8 | 2.7 | -0.5 | -34.3 |
| 2021 | 7.4 | 10.8 | 2.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 21.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-11-05 12.5 SPY 96.2 -0.042 0.0334 -0.0384 -0.243 -0.368 -0.213 -0.0905 GLD 72.8 -0.0355 -0.0162
2 2008-11-06 11.2 SPY 90.9 -0.0554 -0.0565 -0.0682 -0.298 -0.386 -0.256 -0.142 GLD 72.2 -0.008 -0.0067
3 2008-11-07 11.8 SPY 93.9 0.033 -0.0307 0.0348 -0.282 -0.362 -0.232 -0.118 GLD 72.5 0.0039 0.0163
4 2008-11-10 10.9 SPY 92.6 -0.0131 -0.0461 0.0467 -0.284 -0.362 -0.242 -0.123 GLD 73.6 0.0149 0.0349
5 2008-11-11 10.3 SPY 89.8 -0.0309 -0.106 -0.114 -0.302 -0.375 -0.266 -0.146 GLD 72.0 -0.0208 -0.0454
6 2008-11-12 8.5 SPY 85.8 -0.044 -0.108 -0.140 -0.338 -0.420 -0.304 -0.184 GLD 70 -0.0285 -0.0385
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
